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garachen
 

Registered: Dec 2007
Posts: 157

 

02-06-12 07:15 PM

They don't exist now because I haven't requested them for a while - and I typically only request the front month. After rechecking with IB again (I just found out they don't even show market depth on spreads!) I doubt they support butterflys.

But they would show up in this section of TT.

vixspreads.jpg
This has been downloaded 164 time(s).

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atticus
 

Registered: Mar 2007
Posts: 12701

 

02-06-12 09:01 PM


Quote from garachen:

They don't exist now because I haven't requested them for a while - and I typically only request the front month. After rechecking with IB again (I just found out they don't even show market depth on spreads!) I doubt they support butterflys.

But they would show up in this section of TT.



They don't support anything beyond 2-legs.

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rallymode
 

Registered: Dec 2005
Posts: 1326

 

02-06-12 09:53 PM


Quote from garachen:

They don't exist now because I haven't requested them for a while - and I typically only request the front month. After rechecking with IB again (I just found out they don't even show market depth on spreads!) I doubt they support butterflys.

But they would show up in this section of TT.



IB does show market depth on spreads as they are native on the CFE unlike flies. What you are seeing in TT is their synthetic 3 leg combo derived from the spreads not the native CFE fly.

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garachen
 

Registered: Dec 2007
Posts: 157

 

02-06-12 10:53 PM


Quote from rallymode:

IB does show market depth on spreads as they are native on the CFE unlike flies. What you are seeing in TT is their synthetic 3 leg combo derived from the spreads not the native CFE fly.




Sorry, rallymode, I must disagree. To create the butterfly you do nothing with TT. The procedure is to call the helpdesk at the CFE and the CFE creates it as an exchange traded product. THEN it will show up in TT and it shows up in my direct connection to the CFE through both the CMI and FIX interface. They used to automatically create the flys but since many brokers do not access them now they only create them when I call.

To create synthetic TT spreads is an entirely different process (you don't call the exchange).

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rallymode
 

Registered: Dec 2005
Posts: 1326

 

02-06-12 10:58 PM


Quote from garachen:

Sorry, rallymode, I must disagree. To create the butterfly you do nothing with TT. The procedure is to call the helpdesk at the CFE and the CFE creates it as an exchange traded product. THEN it will show up in TT and it shows up in my direct connection to the CFE through both the CMI and FIX interface. They used to automatically create the flys but since many brokers do not access them now they only create them when I call.

To create synthetic TT spreads is an entirely different process (you don't call the exchange).



Can you post a screenshot of the market depth of any fly as shown in TT? I was not able to trade native flies with TT or CQG last summer, only synth combos. I don't have the software now so I'd be very interested to see if that's changed.

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garachen
 

Registered: Dec 2007
Posts: 157

 

02-06-12 11:01 PM

If any of you are not on IB and want me to have the CFE add the fly let me know. I'll probably just get it added tomorrow anyway given the large moves there the last 2 days.


Any of you plan to trade any of the new vol products? I messed with VXEEM for awhile but given the future changes at the end of the month I don't think it will be a viable product.

I autotrade the Vstox overnight but it's pretty boring. Next ones coming out are VKospi and a reintroduce of the russell vix - later this month if I believe.

Also, pretty surprising to me how much volume gets through that VXT contract (end of day vix settlement). There's an interesting play there if you know how vix settlement prices are determined and you have a VERY fast connection (you've written direct).

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